Taking the time to find the best saddle for you is worth it.
If the one your bike comes with is causing you discomfort, try adjusting saddle height, tilt, and fore-aft positioning; small changes can really improve things. If it’s still uncomfortable, get a new saddle!
When selecting a new saddle, keep in mind that better bike shops will often let you test ride several saddles, and will allow you to return a saddle in the first week or so if you deem it to be uncomfortable after a longer ride. (Note: This does not apply to leather saddles. The comfort of these depends on their being broken in to your particular anatomy.) If you switch at time of purchase from the one the bike comes with, some bike shops will give you a partial refund for the original one.
Correct saddle height is essential to riding comfort. Once you’ve found the right height, record this by making a small scratch on your seat post or by applying tape. This will allow you to quickly set things up correctly as you reassemble a bike after shipping, and will make it easier to notice early on if your saddle has slipped down.
Start by looking for a saddle that is wide enough to fully support your sit bones, yet not so wide as to chafe inner thighs. You can feel the location and estimate the width of your sit bones by sitting on the edge of a step.
See Sheldon Brown’s general discussion of saddles.
Also discussion here where the above image came from.